{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,17]],"date-time":"2026-07-17T02:08:24Z","timestamp":1784254104106,"version":"3.55.0"},"reference-count":38,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2009,2,11]],"date-time":"2009-02-11T00:00:00Z","timestamp":1234310400000},"content-version":"unspecified","delay-in-days":4882,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1995,10]]},"abstract":"<jats:p>Many economic models imply that ratios, simple differences, or \u201cspreads\u201d of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's, and \u20141's and contain no unknown parameters. In this paper, we develop tests for cointegration that can be applied when some of the cointegrating vectors are prespecified under the null or under the alternative hypotheses. These tests are constructed in a vector error correction model and are motivated as Wald tests from a Gaussian version of the model. When all of the cointegrating vectors are prespecified under the alternative, the tests correspond to the standard Wald tests for the inclusion of error correction terms in the VAR. Modifications of this basic test are developed when a subset of the cointegrating vectors contain unknown parameters. The asymptotic null distributions of the statistics are derived, critical values are determined, and the local power properties of the test are studied. Finally, the test is applied to data on foreign exchange future and spot prices to test the stability of the forward\u2013spot premium.<\/jats:p>","DOI":"10.1017\/s0266466600009944","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T11:40:44Z","timestamp":1236685244000},"page":"984-1014","source":"Crossref","is-referenced-by-count":118,"title":["Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified"],"prefix":"10.1017","volume":"11","author":[{"given":"Michael T.K.","family":"Horvath","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Mark W.","family":"Watson","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600009944_ref038","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176347499"},{"key":"S0266466600009944_ref037","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(91)90034-L"},{"key":"S0266466600009944_ref034","doi-asserted-by":"publisher","DOI":"10.2307\/2297545"},{"key":"S0266466600009944_ref031","doi-asserted-by":"publisher","DOI":"10.1090\/conm\/080\/999009"},{"key":"S0266466600009944_ref030","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/74.3.535"},{"key":"S0266466600009944_ref028","volume-title":"Maximum Likelihood Estimation of Simultaneous Cointegrating Models","author":"Park","year":"1990"},{"key":"S0266466600009944_ref027","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1992.tb00013.x"},{"key":"S0266466600009944_ref026","volume-title":"Unit Root Tests in ARM A Models with Data Dependent Methods for the Selection of the Truncation Lag.","author":"Ng","year":"1993"},{"key":"S0266466600009944_ref015","volume-title":"Are Foreign Exchange Rates Subject to Permanent Shocks","author":"Evans","year":"1992"},{"key":"S0266466600009944_ref033","volume-title":"Robust Nonstationary Regression","author":"Phillips","year":"1993"},{"key":"S0266466600009944_ref011","first-page":"33","article-title":"Hypothesis testing when a parameter is present only under the alternative","volume":"74","author":"Davies","year":"1987","journal-title":"Biometrika"},{"key":"S0266466600009944_ref012","volume-title":"Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution","author":"Elliott","year":"1993"},{"key":"S0266466600009944_ref016","volume-title":"Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis","author":"Hansen","year":"1990"},{"key":"S0266466600009944_ref029","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600013402"},{"key":"S0266466600009944_ref005","volume-title":"Time Series, Data Analysis and Theory","author":"Brillinger","year":"1980"},{"key":"S0266466600009944_ref018","volume-title":"Critical Values for Likelihood Based Tests for Cointegration When Some of the Cointegrating Vectors Are Prespecified","author":"Horvath","year":"1995"},{"key":"S0266466600009944_ref022","volume-title":"The Role of the Constant Term in Cointegration Analysis of Nonstationary Variables","author":"Johansen","year":"1992"},{"key":"S0266466600009944_ref017","volume-title":"Testing for Unit Roots Using Covariates","author":"Hansen","year":"1993"},{"key":"S0266466600009944_ref020","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"S0266466600009944_ref025","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1992.tb00005.x"},{"key":"S0266466600009944_ref024","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90086-7"},{"key":"S0266466600009944_ref009","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176350711"},{"key":"S0266466600009944_ref010","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/64.2.247"},{"key":"S0266466600009944_ref019","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"S0266466600009944_ref032","doi-asserted-by":"publisher","DOI":"10.2307\/2938258"},{"key":"S0266466600009944_ref036","doi-asserted-by":"publisher","DOI":"10.2307\/2938337"},{"key":"S0266466600009944_ref004","unstructured":"Bobkowsky M.J. 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